CBOE Mid-Day Update 6.10.15

Volatility as an asset class

Netflix (NFLX) is recently up $35.57 to $682.60 as shares trade at a record high on UBS raising its price target to $722 from $600 citing international launches, its superior content position, solid subscriber growth and reasonable valuation. June weekly call option implied volatility is at 32, June is at 30, July is at 40, October is at 37; compared to its 52-week range of 24 to 87.

Johnson Controls (JCI) is recenlty up $2.74 to $54.30 after announcing that it is exploring strategic options for the separation of its automotive business.  June call option implied volatility is at 25, July is at 24, October is at 25, January is at 24; compared to its 52-week range of 15 to 33.

iShares FTSE Xinhua China 25 Index volatility elevated on wide movement
iShares FTSE Xinhua China 25 Index June weekly call option implied volatility is at 35, June is at 33, July is at 29,
August is at 28; compared to its 52-range of 13 to 37, suggesting large near term price movement.

VIX methodology for Apple (VXAPL) down 4.3% to $21,71 cboe.com/VXAPL

Active calls @ CBOE: GLD 9/18/15 140 BAC 7/10/15 17.50 PGR 11/20/15 27 AAPL 6/12/15 129 TMUS 7/24/15 40

Active puts @ CBOE; BAC 7/10/15 17 VXX 6/19/15 17 IWM 6/19/15 120 SPY 7/17/15 185

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) up 5.3% to 6.70 co/h2GXo
Russell 2000 Index (RUT) up 1.55% to 1,268.99 www.cboe.com/RUT

CBOE Russell 2000 Volatility Index (RVX) down 7% to 16.02 compared to its 50-day moving average of 16.75 cboe.com/RVX

VIX methodology for iShares MSCI Emerging Markets Index Fund (VXEEM) down 8% to 18.55 cboe.com/micro/eem/

CBOE Crude Oil Volatility Index (OVX) down 1.25% to 32.60, WTI oil trades near $61.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 5% to 17.33
cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL BAC NFLX FB BABA C BTU MU JPM INTC TSLA WMT GILD

Options with increasing volume @ CBOE: WMT GM KMI ALL RAD PGR URBN DBD DYN

CBOE Volatility Index (VIX) down 7% to 13.37, day range 12.96 – 14.37 cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) down 69c to 18.56.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 1.45 to 13.60 stks.co/r0CS2

CBOE Mini-SPX options (XSP) up 2.65 to 210.67 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently up 12.21 to 927.53 as the Euro Stoxx 50 rose 1.3% higher and the German DAX is over 1.5% firmer following the ECB boosting Greece’s ELA and reports that Germany might accept “staggered reforms” from Greece for trickle out funding.